Do we have anything that self-replicates physically?
Software, sure. I know 3D printer folks will sometimes 3D print parts for new machines. But nothing that fully replicates itself, right? Especially autonomously.
Maybe we'll see what a moon base can bring us.
Additionally, you also have to consider that a self-replicating space probe should be able to find, retrieve, and process the raw materials needed to build new probes on its own. A 3D printer can print some of its own parts, but with externally-provided material that it isn't able to produce on its own.